Laura Veldkamp
Research Agenda An overview of my research My SSRN page
Published and Accepted Papers
1. Information Acquisition and Under-Diversification with Stijn Van Nieuwerburgh, November 2008
Review of Economic Studies, forthcoming
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Before
investors solve a standard n-asset portfolio problem, they choose what
payoff-relevant information to acquire. We explore various preferences
and learning technologies and show the investment patterns that result
from each.
2. Income Dispersion and Counter-Cyclical Markups with Chris Edmond
Journal of Monetary Economics, September 2009, v. 56(6), p.791-804.
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Counter-cyclical
income dispersion can account quantitatively for the
counter-cyclicality of markups in a simple, neoclassical business cycle
model. This explanation is consistent with many cross-sectional and
long-run facts.
3. Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation, with Vasiliki Skreta
Journal of Monetary Economics, July 2009, v.56(5), p.678-695.
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The
more complex assets issued in the mid-2000's were harder to rate
accurately. Noisier ratings gave asset issuers an incentive to shop
around for the best rating. This could explain the emergence of ratings
bias.
Awarded Glucksman Institute Research Prize - 3rd place
4. Information Immobility and the Home Bias Puzzle with Stijn Van Nieuwerburgh,
Journal of Finance, June 2009, v. 64(3), p.1187-1215
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Investors
profit most from information that is very different from what other
investors know. Therefore, if a home investor starts out knowing more
than foreigners do about the future payoffs of home assets, their
optimal research strategy is to learn more about home assets, and buy
more home assets on average.
Awarded Glucksman Institute Research Prize - 1st place
Awarded best paper prize in investments by Financial Management Association
5. Knowing What Others Know: Coordination Motives in Information Acquisition, with Christian Hellwig
Review of Economic Studies, 2009, v.76, pp.223-251
Paper (pdf) Technical appendix Abstract (html) BibTeX citation slides
When
agents choose information to acquire before playing a strategic game,
information choices inherit the strategic motives in actions.
Specifically, in price-setting models with information choice,
complementarity in price-setting makes information acquisition a
complement. This helps delay price adjustment but can generate multiple
equilibria.
6. Learning About Reform: Time-Varying Support for Structural Adjustment
International Review of Economics and Finance, March 2009, v.19(2), p.192-206.
Paper (pdf) Abstract (html) BibTeX citation
A
reform that causes sectoral reallocation produces temporary
unemployment. As workers are gradually re-employed, they learn about
the costs and benefits of reform, and political support for the reform
changes.
7. Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement
with Justin Wolfers, Journal of Monetary Economics, v. 54(S), Sept 2007, pp.37-55
Paper (pdf) Abstract (html) Technical appendix BibTeX citation slides
Because of the high fixed costs of information gathering and the low
cost of replication, many firms buy cheap aggregate information instead
of expensive sector -specific information. As a result, production
decisions overweight aggregate shocks and covary more than multi-sector
models predict.
8. Information Markets and the Comovement of Asset Prices
Review of Economic Studies, July 2006, v.73, p.823-845.
Paper (pdf) Abstract (html) BibTeX citation
When
market participants buy information about the future value of an asset
from an information market, asset prices and returns covary more than
standard pricing models predict.
9. Media Frenzies in Markets for Financial Information
American Economic Review, June 2006, v.96(3), p.577-601.
Paper (pdf) Abstract (html) BibTeX citation
In
frenzies, market participants appear to coordinate - they buy the same
assets at the same time. Coordination motives in information
acquisition generate investment patterns that mimic coordinated
investment
10. Learning Asymmetries in Real Business Cycles, with Stijn Van Nieuwerburgh
Journal of Monetary Economics, May 2006, v.53(4), p.753-772.
Paper (pdf) Abstract (html) BibTeX citation
More
economic activity generates higher-precision information about
productivity, which makes business cycle downturns sharper than
recoveries. The calibrated model explains the extent of business cycle
asymmetry.
11. Slow Boom, Sudden Crash
Journal of Economic Theory October 2005, v.124(2), p.230-257.
Paper (pdf) Abstract (html) BibTeX citation
The
productivity of an investment can only be observed if the investment is
undertaken. In high investment periods, more signals speed up learning
and hasten crashes, relative to booms.
Non-Refereed Publications
12. Inside Information and the Own Company Stock Puzzle with Stijn Van Nieuwerburgh
Journal of the European Economic Association, P&P, May 2006, v.4(2-3), p.623-633.
Paper (pdf, includes technical appendix) Abstract (html) BibTeX citation
The
"Information Immobility" paper raises a question: Aren't foreign assets
a valuable hedge against labor income risk? In this extension, labor
income is a source of risk, but also a source of comparative
information advantage in trading home assets.
13. Comment on: "Uncertainty, Policy Ineffectiveness, and Long Stagnation of the Macroeconomy"
Japan and the World Economy, August 2006, v.18(3), p.273-277. Paper (pdf)
14. Economists' Perspectives on Leadership
with Patrick Bolton and Markus Brunnermeier, May 2008
forthcoming in Handbook of Leaderhip Theory and Practice, Harvard Business School Press.
Download paper
15. Did Asset Complexity Trigger Ratings Bias? with Vasiliki Skreta
forthcoming in Understanding Our Financial Crisis, John Wiley & Sons, 2010.
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Working Papers and Work in Progress
16. Nature or Nurture? Learning and the Geography of Female Labor Force Participation
with Alessandra Fogli, May 2009
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The
increase in female labor force participation and its geographic pattern
was driven partly by the diffusion of information about the effects of
maternal employment on childhood development.
A non-technical summary in The Region magazine
Revise and resubmit at Econometrica
17. Leadership, Coordination and Mission-Driven Management
with Patrick Bolton and Markus Brunnermeier, June 2008
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Leaders
face a time-inconsistency problem: They want to commit so that their
followers will be coordinated and act as a team. But ex-post, they want
to adapt their policy to a changing environment. In such a setting,
overconfident leaders can achieve better outcomes.
Awarded the 2008 JP Morgan Prize for the best paper at the Utah Winter Finance Conference
18. Attention Allocation Over the Business Cycle
with Marcin Kacperczyk and Stijn Van Nieuwerburgh
Download paper Technical appendix Abstract (html) slides
Exports and Expectations: A theory of trade in goods and information Abstract (html)
(notes or slides available on request)
Book in Progress
Information Choice in Macroeconomics and Finance
To be published by Princeton University Press.
Book website
Slides from Econometric Society lecture, August 2009
Recent Discussions
Beyond Liquidity:Modeling Financial Frictions, at Chicago GSB, May 2008
Endogenous Information Flows and the Clustering of Announcements
by Viral Acharya, Peter DeMarzo and Ilan Kremer slides (pdf)
CEPR conference on International Adjustment, November 2007
The International Propagation of News Shocks
by Franck Portier, Paul Beaudry, and Martial Dupaigne slides (pdf)
NBER International Finance and Macro meetings, October 2007
Portfolio Choices with Near Rational Agents: A Solution for Some International-Finance Puzzles
by Pierpaolo Benigno slides (pdf)
Bank of Korea conference on Monetary Policy Communication and Credibility, June 2007
Should Central Banks Reveal Expected Future Interest Rates?
by Pierre Gosselin, Aileen Lotz and Charles Wyplosz slides (pdf)
New York Area Monetary Policy Meetings, October 2006
Heterogeneous Information and the Welfare Effects of Public Information Disclosures , by Christian Hellwig
slides (pdf)
NBER Monetary Economics meetings, April 2006
Optimal Sticky Prices Under Rational Inattention, by Bartosz Mackowiak and Mirko Wiederholt
slides (pdf)
NBER EF&G meetings, July 2005
Imperfect Information, Consumers' Expectations and Business Cycles, by Guido Lorenzoni
slides (pdf)
NBER Asset Pricing meeting, July 2004
A New Micro Model of Exchange Rate Dynamics, by Martin Evans and Rich Lyons
Gerzensee Asset Pricing workshop, July 2004
Optimal Expectations, by Markus Brunnermeier and Jonathan Parker
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